A Research into the Influence on the Listed Machinery and Electrical Companies by Export Tax Rebate Adjusting

By researching on stock return fluctuation, this paper analyzes the influence on diffenent types of listed machinery and electrical companies by the export tax rebate adjustment Dec.29th, 2008. First, an intervention analysis on indices of five types of machinery and electrical markets demonstrates the adjustment has had dramatic positive influence on each market's daily stock return since 2009. Second, a two-factor model is utilized to calculate sample companies' Dec. 29th abnormal stock return. At last, companies are separated into groups;variables such as export propensity, internationalization degree, etc are taken to explain abnormal stock return of different company types. It is proven that companies with large export and potential export expansion benefit more. Meanwhile, companies with relative market power have higher profits, although companies without relative market power are also profitable. This reveals policy drifts exist in the rebate adjustment.